Secondary exercise headache, however, has organic causes that should be ruled out. Think of these: What effort or activity triggers headache? Does the headache increase in intensity along with the effort? How quickly does the headache peak? How long does it last after effort stops? Is the it associated with other symptoms? Are migraine features (one-sided headache associated with hypersensitivity to light/sounds and associated with nausea/vomiting) present? Was there recent trauma or illness? Is there a history of headache triggered by high altitude (like when you go from sea level to mountains, where pressure drops and there's less oxygen in the air)? Does coughing, sneezing, Valsalva (straining) trigger headache?
If the person is above 50 years, cardiac problems should be ruled out (myocardial ischemia, or insufficient blood to the heart muscles, can manifest like this).
In your case, anemia could be the cause, or a major contributing factor. You need to recheck your hemoglobin/hematocrit and blood iron.
Also, you need a full physical exam by a physician to rule out any blood vessel malformations (entities like arterio-venous malformation or aneurysm) in the brain which is a serious issue (it can be detected by brain imaging), especially if the headache is worse with straining.